First, when \(p<n\)  and estimating the full model with all covariates is feasible, we can order the covariates based on their marginal correlations with the response variable, and construct the set of candidate models by including one extra covariate at each time based on the ordering. The idea of model screening based on bivariate correlation is in a similar spirit as that of the “sure independence screening” proposed by [1]}. Similar screening procedures have been used in other model-averaging studies, such as [2]} and [3]}.
